Geodesic
A~criterion for the nonexistence of the asymptotic free lunch in a~finite-dimensional market under convex portfolio constraints and convex transaction costs
Sibirskij žurnal industrialʹnoj matematiki, Tome 5 (2002) no. 1, pp. 133-144.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{SJIM_2002_5_1_a13,
     author = {D. B. Rokhlin},
     title = {A~criterion for the nonexistence of the asymptotic free lunch in a~finite-dimensional market under convex portfolio constraints and convex transaction costs},
     journal = {Sibirskij \v{z}urnal industrialʹnoj matematiki},
     pages = {133--144},
     publisher = {mathdoc},
     volume = {5},
     number = {1},
     year = {2002},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJIM_2002_5_1_a13/}
}
TY  - JOUR
AU  - D. B. Rokhlin
TI  - A~criterion for the nonexistence of the asymptotic free lunch in a~finite-dimensional market under convex portfolio constraints and convex transaction costs
JO  - Sibirskij žurnal industrialʹnoj matematiki
PY  - 2002
SP  - 133
EP  - 144
VL  - 5
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/SJIM_2002_5_1_a13/
LA  - ru
ID  - SJIM_2002_5_1_a13
ER  - 
%0 Journal Article
%A D. B. Rokhlin
%T A~criterion for the nonexistence of the asymptotic free lunch in a~finite-dimensional market under convex portfolio constraints and convex transaction costs
%J Sibirskij žurnal industrialʹnoj matematiki
%D 2002
%P 133-144
%V 5
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/SJIM_2002_5_1_a13/
%G ru
%F SJIM_2002_5_1_a13
D. B. Rokhlin. A~criterion for the nonexistence of the asymptotic free lunch in a~finite-dimensional market under convex portfolio constraints and convex transaction costs. Sibirskij žurnal industrialʹnoj matematiki, Tome 5 (2002) no. 1, pp. 133-144. http://geodesic.mathdoc.fr/item/SJIM_2002_5_1_a13/

[1] Jouini E., Kallal H., “Viability and equilibrium in securities markets with frictions”, Math. Finance, 9:3 (1999), 275–292 | DOI | MR | Zbl

[2] Jouini E., Kallal H., Napp C., “Arbitrage and viability in securities markets with fixed trading costs”, J. Math. Econom., 35 (2001), 197–221 | DOI | MR | Zbl

[3] Harrison J. M., Kreps D. M., “Martingales and arbitrage in multiperiod securities markets”, J. Econom. Theory, 20 (1979), 381–408 | DOI | MR | Zbl

[4] Harrison J. M., Pliska S. R., “Martingales and stochastic integrals in the theory of continuous trading”, Stochastic Process. Appl., 11:3 (1981), 215–260 | DOI | MR | Zbl

[5] Dalang R. C., Morton A., Willinger W., “Equivalent martingale measures and no-arbitrage in stochastic securities market models”, Stochastics Stochastics Rep., 29:2 (1990), 185–201 | MR | Zbl

[6] Schachermayer W., “A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time”, Insurance Math. Econom., 11 (1992), 249–257 | DOI | MR | Zbl

[7] Delbaen F., Schachermayer W., “A general version of the fundamental theorem of asset pricing”, Math. Ann., 300:3 (1994), 463–520 | DOI | MR | Zbl

[8] Jacod J., Shiryaev A. N., “Local martingales and the fundamental asset pricing theorems in the discrete-time case”, Finance and Stochastics, 2:3 (1998), 259–273 | DOI | MR | Zbl

[9] Melnikov A. V., Feoktistov K. M., “Voprosy bezarbitrazhnosti i polnoty diskretnykh rynkov i raschety platezhnykh obyazatelstv”, Obozr. prikl. i prom. matematiki, 8:1 (2001), 28–40 | MR

[10] Shiryaev A. N., Osnovy stokhasticheskoi finansovoi matematiki, Fazis, M., 1998

[11] Jouini E., Kallal H., “Arbitrage in securities markets with short-sales constraints”, Math. Finance, 5:3 (1995), 197–232 | DOI | MR | Zbl

[12] Shürger K., “On the existence of equivalent $\tau$-measures in finite discrete time”, Stochastic Process. Appl., 61 (1996), 109–128 | DOI | MR

[13] Pham H., Touzi N., “The fundamental theorem of asset pricingwith cone constraints”, J. Math. Econom., 31 (1999), 265–279 | DOI | MR | Zbl

[14] Jouini E., Kallal H., “Martingales and arbitrage in securities markets with transaction costs”, J. Econom. Theory, 66:1 (1995), 178–197 | DOI | MR | Zbl

[15] Kabanov Y., Stricker C., “The Harrison-Pliska arbitrage pricing theorem under transaction costs”, J. Math. Econom., 35 (2001), 185–196 | DOI | MR | Zbl

[16] Carassus L., Pham H., Touzi N., “No arbitrage in discrete time under portfolio constraints”, Math. Finance, 11:3 (2001), 315–329 | DOI | MR | Zbl

[17] Brannath W., No arbitrage andmartingalemeasures in option pricing, Doct. diss. Wien Univ., 1997

[18] Evstigneev I. V., Taksar M. I., A general framework for arbitrage pricing and hedging theorems in models of financial markets, Preprint State Unuv. of New York; SUNYSB-AMS-00-09, New York, 2000, 47 pp. | MR

[19] Shiryaev A. N., Veroyatnost, Nauka, M., 1980 | MR | Zbl

[20] Rokafellar R. T., Vypuklyi analiz, Mir, M., 1973

[21] Ioffe A. D., Tikhomirov V. M., Teoriya ekstremalnykh zadach, Nauka, M., 1974 | MR | Zbl

[22] Yan J. A., Caractérisation d'une classe d'ensembles convexes de $L^1$ ou $H^1$, Lect. Notes in Math., 784, Springer, Berlin; Heidelberg; New York, 1980 | MR

[23] Artzner P., Delbaen F., Eber J.-M., Heath D., “Coherent measures of risk”, Math. Finance, 9:3 (1999), 203–228 | DOI | MR | Zbl